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Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

State-varying illiquidity risk in sovereign bond spreads

Docherty, Paul; Easton, Steve - In: Pacific-Basin finance journal 50 (2018), pp. 235-248

Persistent link: https://www.econbiz.de/10012033797

Safe asset shortage by regulation

Demary, Markus; Voigtländer, Michael - In: IW-Kurzberichte (2018) 24

. The high demand for safe and liquid assets is not only driven by risk aversion and liquidity preferences, it is also a …

Persistent link: https://www.econbiz.de/10011816189

Return seasonalities in government bonds and macroeconomic risk

Mikutowski, Mateusz; Karathanasopoulos, Andreas; … - In: Economics letters 176 (2019), pp. 114-116

Persistent link: https://www.econbiz.de/10012121248

Safe assets, risky assets, and dynamic inefficiency in overlapping-generations economies

Hellwig, Martin - 2021

The paper gives conditions for dynamic inefficiency of laissez-faire allocations in an overlapping-generations model with safe and risky assets. If the rate of population growth is certain, the conditions given depend only on how the rate of return on safe assets compares to the growth rate. If...

Persistent link: https://www.econbiz.de/10012505813

Rollover and interest rate risks in self-fulfilling debt models

Ayres, Joao; Paluszynski, Radoslaw - 2023

This paper proposes a model of sovereign default that features interest rate multiplicity driven by rollover risk. Our … reinforces the rollover risk. By exploiting complementarity between the traditional notions of slow- and fast-moving crises, our …

Persistent link: https://www.econbiz.de/10014540282

Sovereign Uncertainty

Silgado-Gómez, Edgar - 2020

This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...

Persistent link: https://www.econbiz.de/10012846834

What Do Treasury Bond Risks Say about Supply and Demand Shocks?

Pflueger, Carolin E. - 2022

This paper analyzes how the risks of nominal and inflation-indexed Treasury bonds vary with the presence of supply and … more risk averse following adverse economic shocks. We calibrate the model separately for the time periods 1979.Q4-2001.Q1 … and 2001.Q2-2019.Q4. For the 1980s calibration, volatile supply shocks raise inflation and the Fed responds by raising …

Persistent link: https://www.econbiz.de/10013403693

Sovereign uncertainty

Silgado-Gómez, Edgar - 2022

Persistent link: https://www.econbiz.de/10013536473

Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk

Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80

Persistent link: https://www.econbiz.de/10013472258